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Consulting Services

Savvysoft's consulting division provides expertise on a broad range of OTC derivatives projects. From bespoke model development to structuring an optimal interest rate swap strategy to significantly speeding up sluggish and slow spreadsheets, Savvysoft's team has tackled them all.

Below is a selected sample of assignments our derivatives consultants have worked on. Savvysoft clients have included money center banks, regional banks, multi-national corporations, money managers, insurance companies, Big Four accounting firms, derivatives advisors and derivatives consultants:

Client: Regional bank

Using CDO prospectuses along with portfolio holdings for each bond, the Savvysoft Team used proprietary software technology to create a complex cash flow waterfall in Excel, and converted each spreadsheet to a C++ routine which was integrated with Savvysoft's OmniPricer product to price each instrument.

Project: Custom-built models for private label CDOs

Client: Investment bank

The exotic equity trading desk of a major investment bank regularly came across highly complex structures created at other houses, with multiple embedded options that made them exceedingly complex. The investment bank retained Savvysoft derivatives consultants to analyze the structures and decompose them into their simpler component parts which enabled the investment bank to much more easily price, hedge, and manage the instruments.

Project: Decomposed complex structures and priced them

Clients: Big Four accounting firm, Corporate treasury, US Government Agency, Swap advisor, Hedge fund

Savvysoft derivatives consultants created bespoke pricing models for a wide variety of exotic structured notes, including those with cash flows dependent on changes in interest rates and spreads, FX rates, equity levels and commodity prices.

Project: Priced highly structured notes and swaps for both issuers and auditors

Client: Advisor to multi-national corporates

Savvysoft derivatives consultants created a set of interest rate swaps to maximize tax arbitrage, while ensuring ASC 815 hedge effectiveness throughout the life of the swaps, minimizing earnings variability while maximizing tax savings.

Project: Structured a tax-advantaged swaps strategy

Clients: Corporate treasury, Regional bank, Insurance company

Savvysoft derivatives consultants have conducted various presentations at our offices, and also traveled to client locations around the world to teach option pricing theory, finance, risk management, and provided instruction on Savvysoft's suite of OTC derivatives software and systems. Training classes are custom-tailored for each client. Class sizes vary from one person to 100, and can last from an afternoon to two weeks, depending on client needs.

Project: Provided derivatives training and education

Client: US Government Agency

Savvysoft derivatives consultants compared Savvysoft's proprietary models to the client's models. The analysis consisted of comparing market data inputs, model assumptions, and valuations, and reconciling any discovered differences. Comparison of the theoretical models was included in the reconciliation process.

Project: Performed analysis on model validation project

Client: Big Four accounting firm

A Big Four firm brought in Savvysoft to correctly price interest rate derivatives which were improperly entered into the firm's financial system by the trader, leading to fraudulent bonuses being paid.

Project: Participated in project concerning financial forensics on a large derivatives blowup

Client: Derivatives advisory firm

Savvysoft derivatives consultants analyzed dividend swap transactions between a bank and one of its customers. The taxing authority questioned whether trades were done to avoid recognizing gains. Savvysoft supported the taxing authority's advisor by performing the calculations for each court exhibit.

Project: Aided in court case involving tax fraud related to derivatives

Client: International bank

Savvysoft derivatives consultants connected our STARS system to Bloomberg via both the Bloomberg C# API as well as the Excel API. In connecting the systems, our client was able to use all of Bloomberg's market data inside Savvysoft's STARS system automatically.

Project: Created a bridge to Bloomberg market data

Client: Hedge fund trading in real time

An equity trader wanted to expand his universe of traded stocks from 16 to 64, but his massive Excel spreadsheet had already slowed to a crawl. Set up for real-time stock trading and order management, the spreadsheet had multiple data feeds integrated, and featured a complex set of buy/sell trading rules and algorithms.

Using Savvysoft's proprietary tools, Savvysoft derivatives consultants identified and isolated the crucial mathematical calculations which were slowing down the spreadsheet, and converted them to compiled C++ code. The compiled code was then embedded inside the trader's Excel workbook. The newly retooled spreadsheet ran hundreds of times faster. With the optimized spreadsheet, the trader was easily able to expand his universe of stocks and make rapid-fire decisions during the trading day.

Savvysoft also redesigned the spreadsheet to enable the trader to edit and update his trading rules quickly in Excel and automatically recompile them in C++ all on his own.

Project: To dramatically speed up a sluggish, slow running Excel spreadsheet that was coming up against Excel's space and multi-tasking limitations

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